Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

Critical leg ischaemia with tissue loss : a challenge for the vascular surgeon

There is a widespread reporting habit of combining the outcomes for patients with rest pain (Fontaine III) and tissue loss (Fontaine IV) under the single category of critical leg ischaemia (CLI). This study focused on patients with ischaemic tissue loss treated with infrainguinal bypass surgery (IBS). All patients included in the study were treated at Helsinki University Central Hospital in 2000-2007. First, ulcer healing time after IBS and factors influencing healing time were prospectively assessed in 2 studies including 148 and 110 patients, respectively. Second,the results of redo IBS were retrospectively evaluated in 593 patients undergoing primary IBS for CLI with tissue loss . Third,long-term outcome were retrospectively analysed in 636 patients who underwent IBS for CLI with tissue loss . Fourth, the outcome of IBS was retrospectively compared with endovascular treatment (PTA) of the infrapopliteal arteries in 1023 CLI patients. Fifth, the influence multidrug resistant Pseudomans aeruginosa (MDR Pa) bacteria contamination in CLI patients treated with IBS was retropectively assessed. Sixty-four patients with positive MDR Pa -culture were matched with 64 MDR Pa - negative controls. Complete ulcer healing rate, including the ischemic ulcers and incisional wounds, was 40% at 6 months after IBS and 75% at one year. Diabetes was a risk factor for prolonged complete ulcer healing time. Ischaemic tissue lesions located in mid-and hindfoot healed poorly. At one year after IBS 50% of the patients were alive with salvaged leg and completely healed ulcers. The absence of gap between tertiary graft patency and leg salvage rates indicates the importance of a patent infrainguinal graft to save a leg with ischaemic tissue loss. Long-term survival for patients with ischaemic tissue loss was poor, 38% at 5 years. Only 30% of the patients were alive without amputation at 5 years. Several of the patient comorbidities increased independently the mortality risk; coronary artery disease, renal insufficiency, chronic obstructive lung disease and high age. When both PTA and bypass is feasible, infrapopliteal PTA as a first-line strategy is expected to achieve similar long-term results to bypass surgery in CLI when redo surgery is actively utilized. MDR Pa in a patient with CLI should be considered as a serious event with increased risk of early major amputation or death. Conclusion: Despite a successful infrainguinal bypass healing of the ischaemic ulcers and incisional wounds ulcer healing is a slow process especially in diabetics. Bypass surgery and PTA improve the outcome of the ischaemic leg but the mortality rate of the patients is high due to their severe comorbidities.